Yuzuru
2023-09-03 22:15老師，這里沒看明白The expected risk of the domestic currency return for the Australian asset is (1.055) × 7% = 7.39%.The expected risk of the domestic currency return for the German asset = (1.035) × 5% = 5.18%.這題能具體再講講嗎?聽得有點(diǎn)暈
所屬：CFA Level III > Derivatives and Currency Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Simon助教
2023-09-04 10:13
該回答已被題主采納
同學(xué)，上午好。
就單個(gè)資產(chǎn)而言，如果投資外國(guó)無風(fēng)險(xiǎn)資產(chǎn)，那么σ(Rdc)=(1+Rf)σ(Rfx)，（因?yàn)轭}目里說了Because the foreign-currency return on these Treasury bill assets is risk-free，所以5.5%，和3.5%都是無風(fēng)險(xiǎn)利率）
先各自計(jì)算AUD和EUR的σ(Rdc)。
AUD的σ(Rdc): (1.055) × 7% = 7.39%
EUR的σ(Rdc): (1.035) × 5% = 5.18%
然后再根據(jù)公式：σ^2=w1^2×σ1^2+w2^2×σ2^2+2×w1×w2×σ1×σ2×ρ，計(jì)算。
因?yàn)锳UD和EUR各占50%，
那么，σ(Rdc) ^2= (0.5)^2×(7.39%)^2 + (0.5)^2×(5.18%)^2 + 2×(0.5)×(7.39%)×(0.5)×(5.18%)×(0.6) = 0.003185.
然后開根號(hào)，得到σ(Rdc) = 0.05643 = 5.643%.
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